Federal Register / Vol. 89, No. 36 / Thursday, February 22, 2024 / Notices 13389 

25 17 CFR 200.30–3(a)(12). 

1The Participants are: Cboe BYX Exchange, Inc., 

Cboe BZX Exchange, Inc., Cboe EDGA Exchange, 

Inc., Cboe EDGX Exchange, Inc., The Financial 

Industry Regulatory Authority, Inc., Investors 

Exchange LLC, Long-Term Stock Exchange, Inc., 

MEMX LLC, MIAX Pearl, LLC, NASDAQ BX, Inc., 

NASDAQ PHLX LLC, The NASDAQ Stock Market 

LLC, New York Stock Exchange LLC, NYSE 

American LLC, NYSE Arca, Inc., NYSE Chicago, 

Inc., and NYSE National, Inc. (collectively, 

‘‘Participants’’). 

2On May 31, 2012, the Commission approved the 

Plan, as modified by Amendment No. 1. See 

Securities Exchange Act Release No. 67091, 77 FR 

33498 (June 6, 2012) (File No. 4–631) (‘‘Approval 

Order’’). On February 20, 2013, the Commission 

noticed for immediate effectiveness the Second 

Amendment to the Plan. See Securities Exchange 

Act Release No. 68953, 78 FR 13113 (February 26, 

2013). On April 3, 2013, the Commission approved 

the Third Amendment to the Plan. See Securities 

Exchange Act Release No. 69287, 78 FR 21483 

(April 10, 2013). On August 27, 2013, the 

Commission noticed for immediate effectiveness 

the Fourth Amendment to the Plan. See Securities 

Exchange Act Release No. 70273, 78 FR 54321 

(September 3, 2013). On September 26, 2013, the 

Commission approved the Fifth Amendment to the 

Plan. See Securities Exchange Act Release No. 

70530, 78 FR 60937 (October 2, 2013). On January 

7, 2014, the Commission noticed for immediate 

effectiveness the Sixth Amendment to the Plan. See 

Securities Exchange Act Release No. 71247, 79 FR 

2204 (January 13, 2014). On April 3, 2014, the 

Commission approved the Seventh Amendment to 

the Plan. See Securities Exchange Act Release No. 

71851, 79 FR 19687 (April 9, 2014). On February 

19, 2015, the Commission approved the Eight 

Amendment to the Plan. See Securities Exchange 

Act Release No. 74323, 80 FR 10169 (February 25, 

2015). On October 22, 2015, the Commission 

approved the Ninth Amendment to the Plan. See 

Securities Exchange Act Release No. 76244, 80 FR 

66099 (October 28, 2015). On April 21, 2016, the 

Commission approved the Tenth Amendment to the 

Plan. See Securities Exchange Act Release No. 

77679, 81 FR 24908 (April 27, 2016). On August 26, 

2016, the Commission noticed for immediate 

effectiveness the Eleventh Amendment to the Plan. 

See Securities Exchange Act Release No. 78703, 81 

FR 60397 (September 1, 2016). On January 19, 2017, 

the Commission approved the Twelfth Amendment 

to the Plan. See Securities Exchange Act Release 

No. 79845, 82 FR 8551 (January 26, 2017). On April 

13, 2017, the Commission approved the Thirteenth 

Amendment to the Plan. See Securities Exchange 

Act Release No. 80455, 82 FR 18519 (April 19, 

2017). On April 28, 2017, the Commission noticed 

for immediate effectiveness the Fourteenth 

Amendment to the Plan. See Securities Exchange 

Act Release No. 80549, 82 FR 20928 (May 4, 2017). 

On September 26, 2017, the Commission noticed for 

immediate effectiveness the Fifteenth Amendment 

to Plan. See Securities Exchange Act Release No. 

81720, 82 FR 45922 (October 2, 2017). On March 

15, 2018, the Commission noticed for immediate 

effectiveness the Sixteenth Amendment to the Plan. 

See Securities Exchange Act Release No. 82887, 83 

FR 12414 (March 21, 2018) (File No. 4–631). On 

April 12, 2018, the Commission approved the 

Seventeenth Amendment to the Plan. See Securities 

Exchange Act Release No. 83044, 83 FR 17205 

(April 18, 2018). On April 11, 2019, the 

Commission approved the Eighteenth Amendment 

to the Plan. See Securities Exchange Act Release 

No. 85623, 84 FR 16086 (April 17, 2019) 

(‘‘Amendment 18’’). On February 5, 2020, the 

Commission noticed for immediate effectiveness 

the Nineteenth Amendment to the Plan. See 

Securities Exchange Act Release No. 88122, 85 FR 

7805 (February 11, 2020) (File No. 4–631). On April 

21, 2020, the Commission approved the Twentieth 

Amendment to the Plan. See Securities Exchange 

Act Release No. 88704, 85 FR 23383 (April 27, 

2020). On July 29, 2020, the Commission noticed 

for immediate effectiveness the Twenty-First 

Amendment to the Plan. See Securities Exchange 

Act Release No. 89420, 85 FR 46762 (August 3, 

2020) (File No. 4–631). On October 1, 2020, the 

Commission noticed for immediate effectiveness 

the Twenty-Second Amendment to the Plan. See 

Securities Exchange Act Release No. 90068, 85 FR 

63322 (October 7, 2020) (File No. 4–631). 

3 15 U.S.C. 78k–1(a)(3). 

4 17 CFR 242.608. 

5See Securities Exchange Act Release No. 98928 

(November 14, 2023), 88 FR 81131 (‘‘Notice’’). 

Comments received in response to the Notice can 

be found on the Commission’s website at: https:// 

www.sec.gov/comments/4-631/4-631.htm. 

6 17 CFR 242.608(b)(2)(i). 

7On May 31, 2012, the Commission approved the 

Plan, as modified by Amendment No. 1. See 

Approval Order, supra note 2. 

8 17 CFR 242.600(b)(47). 

9See Notice, 88 FR at 81144–45 (setting forth the 

defined terms as used under the Plan). For purposes 

of this order, all capitalized terms referenced, but 

not otherwise defined, herein shall have the 

meanings as defined under the Plan or as defined 

in the Notice. 

10See Notice, 88 FR at 81148 (Appendix A to the 

Plan). 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.25

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2024–03540 Filed 2–21–24; 8:45 am] 

BILLING CODE 8011–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–99545; File No. 4–631] 

Joint Industry Plan; Order Instituting 

Proceedings To Determine Whether To 

Approve or Disapprove the TwentyThird Amendment to the National 

Market System Plan To Address 

Extraordinary Market Volatility by Cboe 

BYX Exchange, Inc., Cboe BZX 

Exchange, Inc., Cboe EDGA Exchange, 

Inc., Cboe EDGX Exchange, Inc., The 

Financial Industry Regulatory 

Authority, Inc., Investors Exchange 

LLC, Long-Term Stock Exchange, Inc., 

MEMX LLC, MIAX Pearl, LLC, NASDAQ 

BX, Inc., NASDAQ PHLX LLC, The 

NASDAQ Stock Market LLC, New York 

Stock Exchange LLC, NYSE American 

LLC, NYSE Arca, Inc., NYSE Chicago, 

Inc., and NYSE National, Inc. 

February 15, 2024. 

I. Introduction 

On October 24, 2023, NYSE Group, 

Inc., on behalf of the Participants 1 to 

the National Market System Plan to 

Address Extraordinary Market Volatility 

(‘‘Plan’’),2 filed with the Securities and 

Exchange Commission (‘‘Commission’’), 

pursuant to section 11A(a)(3) of the 

Securities Exchange Act of 1934 (‘‘Act’’ 

or ‘‘Exchange Act’’) 3 and Rule 608 

thereunder,4 a proposal (‘‘Proposal’’ or 

‘‘Proposed Amendment’’) to amend 

Appendix A to the Plan to provide that 

all exchange-traded products (‘‘ETPs’’) 

will be assigned to Tier 1 of the Plan, 

except for single stock ETPs, which will 

be assigned to the same tier as their 

underlying stock, and in each case 

adjusted for any leverage factor. The 

Proposed Amendment was published 

for comment in the Federal Register on 

November 21, 2023.5

This order institutes proceedings 

under Rule 608(b)(2)(i) of Regulation 

NMS 6 to determine whether to approve 

or disapprove the Proposed Amendment 

or to approve the Proposed Amendment 

with any changes or subject to any 

conditions the Commission deems 

necessary or appropriate after 

considering public comment. 

II. Background 

The Participants filed the Plan with 

the Commission on April 5, 2011 7 to 

create a market-wide limit up-limit 

down mechanism intended to address 

extraordinary market volatility in NMS 

Stocks, as defined in Rule 600(b)(47) of 

Regulation NMS under the Exchange 

Act.8 The Plan sets forth procedures that 

provide for market-wide limit up-limit 

down requirements to prevent trades in 

individual NMS Stocks from occurring 

outside of the specified Price Bands.9

These limit up-limit down requirements 

are coupled with Trading Pauses, as 

defined in Section I(Y) of the Plan, to 

accommodate more fundamental price 

moves. In particular, the Participants 

adopted the Plan to address 

extraordinary volatility in the securities 

markets, i.e., significant fluctuations in 

individual securities’ prices over a short 

period of time, such as those 

experienced during the ‘‘Flash Crash’’ 

on the afternoon of May 6, 2010. 

As set forth in more detail in the Plan, 

the single plan processor (‘‘Processor’’ 

or ‘‘Processors’’), which is responsible 

for consolidation of information for an 

NMS Stock pursuant to Rule 603(b) of 

Regulation NMS under the Exchange 

Act, calculates and disseminates a lower 

Price Band and upper Price Band for 

each NMS Stock. As set forth in Section 

V of the Plan, the Price Bands are based 

on a Reference Price for each NMS 

Stock that equals the arithmetic mean 

price of Eligible Reported Transactions 

for the NMS Stock over the immediately 

preceding five-minute period. The Price 

Bands for an NMS Stock are calculated 

by applying the Percentage Parameters, 

as set out in Appendix A to the Plan,10

for such NMS Stock to the Reference 


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11This section summarizes the proposed changes 

to the Plan and the Participants’ analysis supporting 

the proposed changes, as described in the Notice. 

For a full discussion of the Proposed Amendment, 

including the Participants’ justifications for the 

Proposed Amendment, see Notice, supra note 5. 

Price, with the lower Price Band being 

a Percentage Parameter below the 

Reference Price, and the upper Price 

Band being a Percentage Parameter 

above the Reference Price. 

Appendix A to the Plan sets out the 

definitions of Tier 1 and Tier 2 NMS 

Stocks and the Percentage Parameters 

for each. Appendix A currently provides 

that Tier 1 includes all NMS Stocks 

included in the S&P 500 Index and the 

Russell 1000 Index, as well as ‘‘eligible’’ 

ETPs. Appendix A specifies: 

To determine eligibility for an ETP to be 

included as a Tier 1 NMS Stock, all ETPs 

across multiple asset classes and issuers, 

including domestic equity, international 

equity, fixed income, currency, and 

commodities and futures will be identified. 

Leveraged ETPs will be excluded, and the list 

will be sorted by notional consolidated 

average daily volume (‘‘CADV’’). The period 

used to measure CADV will be from the first 

day of the previous fiscal half year up until 

one week before the beginning of the next 

fiscal half year. Daily volumes will be 

multiplied by closing prices and then 

averaged over the period. ETPs, including 

inverse ETPs, that trade over $2,000,000 

CADV will be eligible to be included as a 

Tier 1 NMS Stock. 

The eligible ETPs are then listed in 

Schedule 1 to Appendix A, and the list 

is reviewed and updated semi-annually. 

All ETPs that do not meet the 

‘‘eligibility’’ definition are currently 

assigned to Tier 2. 

For Tier 1 NMS Stocks, Appendix A 

defines the Percentage Parameters as: 

• 5% for Tier 1 NMS Stocks with a 

Reference Price more than $3.00; 

• 20% for Tier 1 NMS Stocks with a 

Reference Price equal to $0.75 and up to 

and including $3.00; and 

• The lesser of $0.15 or 75% for Tier 

1 NMS Stocks with a Reference Prices 

less than $0.75. 

For Tier 2 NMS Stocks, Appendix A 

defines the Percentage Parameters as: 

• 10% for Tier 2 NMS Stocks with a 

Reference Price of more than $3.00; 

• 20% for Tier 2 NMS Stocks with a 

Reference Price equal to $0.75 and up to 

and including $3.00; and 

• The lesser of $0.15 or 75% for Tier 

2 NMS Stocks with a Reference Price 

less than $0.75. 

The Percentage Parameter for a Tier 2 

NMS Stock that is a leveraged ETP is the 

applicable Percentage Parameter set 

forth above, multiplied by the leverage 

ratio of such product. 

III. Summary of the Proposed 

Amendment 11

The Participants propose to amend 

Appendix A to delete the definition of 

ETPs ‘‘eligible’’ for Tier 1, and to specify 

that all ETPs except for single-stock 

ETPs would be assigned to Tier 1. The 

Participants also propose to delete 

Schedule 1 to Appendix A as obsolete. 

Under the Proposal, Appendix A, 

Section I, paragraph (1) would read as 

follows: 

Tier 1 NMS Stocks shall include all NMS 

Stocks included in the S&P 500 Index and 

the Russell 1000 Index, and all exchangetraded products (‘‘ETP’’), except for single 

stock ETPs, which will be assigned to the 

same Tier as their underlying stock, adjusted 

for any leverage factor. 

Because all leveraged ETPs (except 

Tier 2 single stock ETPs) would be 

assigned to Tier 1, the Participants also 

propose to add text into Section I of 

Appendix A describing how the 

Percentage Parameters would be set for 

leveraged ETPs. The Participants 

propose to insert the following as 

paragraph (5) of Section I, and to 

renumber the paragraphs of Section I 

accordingly: 

Notwithstanding the foregoing, the 

Percentage Parameters for a Tier 1 NMS 

Stock that is a leveraged ETP shall be the 

applicable Percentage Parameter set forth in 

clauses (2), (3), or (4) above, multiplied by 

the leverage ratio of such product. 

A. Study Data 

The Participants reviewed trading and 

quoting in all ETPs during the period 

from Q4 of 2019 through Q2 of 2021. 

This time span afforded the Participants 

the opportunity to study how the Plan 

performed during certain stressful 

periods. The ETPs studied covered 

several asset classes, including domestic 

equities, international equities, fixed 

income, currency, commodity, and 

digital currency ETPs. 

At the time the Participants 

conducted the study, there were not yet 

any single stock ETPs listed in the U.S. 

markets. Because a single stock ETP 

should closely track the price movement 

and volatility of its underlying security, 

the Participants assert that it should be 

assigned to the same tier, adjusted for 

any leverage factor, to maintain uniform 

and congruous application of controls. 

The Participants also excluded Tier 2 

ETPs with a Reference Price of $3.00 or 

less, since ETPs with a Reference Price 

of $3.00 or less are subject to identical 

Percentage Parameters under Tier 1 and 

Tier 2. The Participants also excluded 

the last 25 minutes of the trading day 

from the study, since the Percentage 

Parameters for Tier 1 and Tier 2 NMS 

Stocks with Reference Prices more than 

$3.00 are identical during that period. 

B. Study Methodology 

The Participants’ study consists of 

three parts. First, the Participants 

compared the realized volatility and 

incidence of Limit States and Trading 

Halts in Tier 2 ETPs against both Tier 

1 and Tier 2 non-ETPs, to review the 

reasonableness of assigning ETPs to Tier 

2. 

Second, the Participants calculated 

theoretical Tier 1 (i.e., 5%) Price Bands 

for all Tier 2 ETPs in the study. For 

example, normally a Tier 2 ETP with a 

Reference Price of $10.00 would have a 

lower Price Band of $9.00 and an upper 

Price Band of $11.00 (i.e., 10% bands). 

For purposes of the study, that same 

ETP would have a theoretical Tier 1 

lower Price Band of $9.50 and an upper 

Price Band of $10.50 (i.e., 5% bands). 

Once the theoretical narrower bands 

were calculated, the Participants 

identified all trades that occurred at 

prices between the theoretical narrower 

bands and the actual Tier 2 bands. The 

Participants then calculated the total 

notional value if all trades beyond the 

theoretical narrow bands had been 

prevented, as well as the total notional 

value if all such trades had occurred at 

the price of the new bands, to determine 

the range of potential notional value 

impact of applying Tier 1 bands to Tier 

2 ETPs. The Participants also studied 

the price movement following these 

‘‘breaches’’ of the theoretical narrower 

bands and the likelihood of reversion to 

determine the efficacy of tightening the 

bands. 

Third, the Participants compared 

market quality changes and the 

frequency of Limit States and Trading 

Halts for Tier 1 ETPs vs. Tier 2 ETPs by 

studying the ETPs that shift from one 

tier to the other as part of the current 

semi-annual review process. 

C. Study Results 

1. Volatility of Tier 2 ETPs vs. Tier 1 

and Tier 2 Non-ETPs 

For the first part of the study, the 

Participants compared the volatility of 

Tier 2 ETPs during the study period to 

the volatility of non-ETP securities. If 

the purpose of Tier 2’s wider bands is 

to address higher expected volatility in 

Tier 2 NMS Stocks, but ETPs in Tier 2 

are already less volatile than non-ETPs 

in Tier 1, that would suggest that ETPs 

do not actually need Tier 2’s wider 

bands. 

According to the Participants, except 

for single-stock, commodity, and foreign 

exchange-based ETPs, ETPs are, by 

definition, diversified instruments. 


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12The Participants measured quote volatility as 

the average basis point change of each second’s 

mid-point during core hours annualized. 

Notwithstanding the lower trading 

volumes associated with the less liquid 

ETPs included in Tier 2, Tier 2 ETPs 

exhibit volatilities that are lower than 

those observed for Tier 1 non-ETPs that 

already trade with narrower Price Bands 

today. 

The Participants calculated quote 

volatilities 12 for all securities that were 

part of the Plan during 2021. Nonleveraged Tier 2 ETPs had an average 

quote volatility of 0.241 basis points 

with a 90th percentile of 0.275 basis 

points. Those figures are lower than for 

Tier 1 non-ETPs during the same period, 

which had an average quote volatility of 

0.258 basis points with a 90th percentile 

of 0.446 basis points. Tier 2 non-ETPs 

had more than four times higher average 

quote volatility and almost double the 

average quote volatility at the 90th 

percentile compared to Tier 2 nonleveraged ETPs. Leveraged Tier 2 ETPs 

were somewhat higher than nonleveraged Tier 2 ETPs, with an average 

quote volatility of 0.736 basis points and 

a 90th percentile of 1.317 basis points. 

Most leveraged ETPs represent 

commodities or volatility index 

products, which would be expected to 

exhibit higher volatility. However, these 

products’ Price Bands are also 

multiplied by their leverage factor, 

which makes their higher volatility 

relative to other ETPs acceptable. 

In comparing the incidence of Trading 

Pauses and Limit States during 2021 by 

Tier 1 non-ETPs, Tier 2 ETPs, and Tier 

2 non-ETPs priced above $3.00, the data 

shows that during 2021, Tier 2 nonleveraged ETPs had fewer Trading 

Pauses and Limit States than Tier 1 nonETPs, even though the Tier 2 nonleveraged ETPs comprised nearly 50% 

more securities. In addition, Tier 2 nonETPs had roughly four times the number 

of symbols, but 63 times the number of 

Limit States per day compared to Tier 

2 non-leveraged ETPs. Tier 2 ETPs at the 

90th percentile did not have any 

Trading Pauses, while there were 30 

Trading Pauses for Tier 2 non-ETPs. 

Overall, the comparison between Tier 

1 non-ETPs and Tier 2 ETPs shows that 

quote volatility of Tier 2 ETPs operating 

under wider Price Bands is lower than 

Tier 1 non-ETPs, and that the incidence 

of Limit States and Trading Pauses for 

Tier 1 non-ETPs is substantially higher 

than that of Tier 2 ETPs. By contrast, 

Tier 2 non-ETPs are considerably more 

volatile than Tier 1 non-ETPs, which 

substantiates the wider Price Bands 

applied to these securities, as the higher 

number of Limit States and Trading 

Pauses in Tier 2 non-ETPs are occurring 

under 10% Price Bands. The 

Participants believe that these data 

indicate that the Price Bands are not 

well-calibrated to the realized volatility 

for Tier 2 ETPs and should not be twice 

as wide as those for Tier 1 non-ETPs. 

2. Analysis of ETP Trades Executing 

Past Theoretical Tier 1 Bands 

For the second part of the study, the 

Participants sought to identify the range 

of potential notional value that would 

have been impacted during the study 

period if trades in Tier 2 ETPs had been 

bounded by 5% Price Bands instead of 

10% Price Bands. Specifically, the 

Participants calculated theoretical Tier 1 

(i.e., 5%, adjusted for leverage factor) 

Price Bands for all Tier 2 ETPs in the 

study (‘‘Theoretical Tier 1 Bands’’). 

Once the theoretical narrower bands 

were calculated, the Participants 

identified 101,956 trades that occurred 

at prices between the Theoretical Tier 1 

Bands and the actual Tier 2 bands. The 

Participants then calculated the upper 

and lower ranges of the notional value 

of the trades that would have been 

impacted during the study period if Tier 

2 ETPs had been subject to the narrower 

Theoretical Tier 1 Bands instead of the 

actual Tier 2 bands. 

The Participants drilled down into the 

results to determine, on a day-by-day 

basis, the amount of notional value 

prevented, and the number of symbols 

impacted, by the narrower Theoretical 

Tier 1 Bands. Most of the notional value 

that would have been prevented by 

using the narrower Theoretical Tier 1 

Bands for Tier 2 ETPs occurred across 

a handful of trade dates when the 

markets were very volatile. Together, 

the 10 days with the highest notional 

value for trades prevented account for 

59% of the trades prevented and 61% of 

the total notional value overall. More 

than $45 million in trades could have 

been prevented during the pandemicdriven volatility in 2020. In contrast, 

over the entire study period, the number 

of Tier 2 ETPs that would have been 

impacted by using narrower Theoretical 

Tier 1 Bands was a median of nine ETPs 

per day. 

The Participants conclude that on 

most days, tighter Price Bands would 

have had little impact on the trading of 

Tier 2 ETPs. However, during periods of 

extreme volatility overall, the narrower 

bands may prevent unnecessary 

volatility in Tier 2 ETPs. Using narrower 

Tier 1 Bands for these ETPs could 

protect investors from executing trades 

at inferior prices that may occur due to 

transitory gaps in liquidity. 

The Participants recognize that the 

positive impacts of using narrower 

Theoretical Tier 1 Bands would be 

blunted if the price trend that triggers a 

Trading Pause continues in the same 

direction. To study this issue, the 

Participants computed several statistics 

to measure the impact of blocking these 

trades at the narrower Theoretical Tier 

1 Bands. The Participants calculated 

these statistics as a fraction of simple 

trade counts, as well as the percentage 

of shares that were impacted by the 

theoretical narrower bands. The 

calculations are as follows: 

1. Last mid-quote 5 minutes after the 

blocked trade compared to the trade 

execution price. 

2. Last mid-quote 10 minutes after the 

blocked trade compared to the trade 

execution price. 

3. Same as #1, except cases where the stock 

paused in the next 5 minutes (because there 

may not be reliable 5-minute mid-quotes). 

4. Same as #2, except cases where the stock 

paused in the next 10 minutes (because there 

may not be reliable 10-minute mid-quotes). 

5. Same as #1–#4, except measured against 

the theoretical narrower bands. This 

measures the worst-case situation, where 

none of the trades would have occurred and 

the full impact of blocking the trades is 

shown. 

Prices 5 and 10 minutes after a 

theoretically prevented trade usually 

reverted away from the offending trade 

price towards prior prices, and less 

often moved back to levels inside the 

new bands. When prices do not revert, 

the benefit of the tighter bands is less 

clear, but the tendency toward reversion 

is further evidence in support of 

narrowing the bands to Tier 1 levels. 

After 5 minutes, more than 70% of the 

trades and nearly 75% of the shares 

impacted had their last quote return to 

price levels prior to the move that 

caused the breach of the Theoretical 

Tier 1 Band. After 10 minutes, reversion 

rates improved further (i.e., more than 

75% of trades and 78% of shares). When 

Trading Pauses are excluded, the results 

appeared even more positive, although 

the Participants believe that including 

Trading Pauses is the superior measure, 

as these situations better reflect the 

general direction of the market. 

The Participants note that during the 

study period, only 7.1% of the trades 

that executed beyond the narrower 

Theoretical Tier 1 Bands (4.6% of shares 

executed across the entire study period) 

ultimately resulted in a Trading Pause 

under the bands currently in place. 

Prices did ultimately hit a Limit State 

within 10 minutes in 12.6% of the 

trades that moved through the bands, 

accounting for 10.3% of shares traded, 

but as noted above, less than half of 

these shares resulted in a Trading Pause. 

The Participants note that by 

narrowing the bands, in all likelihood, 


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there may be an increase in Trading 

Pauses, even with market makers 

moving liquidity in front of the revised 

tighter bands. Because prices may likely 

revert inside the bands after 10 minutes, 

these Trading Pauses may be beneficial 

for investors. Such Trading Pauses may 

also be beneficial for investors because 

many Tier 2 ETPs do not trade actively. 

Their initial Price Bands are often based 

on the prior day’s official closing price, 

which may not perfectly reflect current 

market conditions, but their Reference 

Prices and Price Bands are not reset if 

there are no trades. In such cases, it may 

be beneficial to trigger a Trading Pause 

that will permit a reopening auction, 

which can more efficiently aggregate 

liquidity, determine equilibrium prices, 

reset the Price Bands, and further 

mitigate volatility. 

3. Market Quality Changes When ETPs 

Change Tier Designation 

For the third part of the study, the 

Participants examined ETPs that have 

moved between tiers. As background, at 

launch, each ETP is assigned to Tier 2. 

Per Appendix A, tiers are recalculated at 

the end of each June and December and 

any non-leveraged ETPs that trade over 

$2,000,000 CADV during the 

measurement period move from Tier 2 

to Tier 1. It is common for an otherwiseilliquid ETP to have one or two very 

high-volume days immediately after 

listing, causing it to be recategorized 

into Tier 1, and then ultimately settle 

back into Tier 2 following its second 

measurement period. 

These tier changes provide the 

Participants with an opportunity to 

evaluate and compare the market 

quality of ETPs under different price 

band regimes. The Participants 

understand that, in some cases, changes 

in the volume of trades are what cause 

an ETP to change from one tier to 

another, and the improvements in 

market quality may be attributable to 

that increased volume, and not the tier 

change in and of itself. But as noted 

above, the Plan initially assigns ETPs 

into Tier 2 irrespective of their volume 

of trades, and many are then 

subsequently reassigned to Tier 1 due to 

high notional volume on a few days 

after they are first funded, without 

experiencing any real change in 

notional volume overall. As such, the 

Participants believe that market quality 

changes after a tier shift are meaningful 

because they are often not due to 

developments in the character of the 

market for the ETPs. 

The Participants compared quoted 

spreads and notional liquidity at the 

NBBO, comparing changes in these two 

values from half-year to half-year for 

ETPs that: stayed in Tier 1; stayed in 

Tier 2; switched from Tier 1 to Tier 2; 

and switched from Tier 2 to Tier 1. 

ETPs that were in Tier 1 in the second 

half of 2019 and stayed in Tier 1 during 

the first half of 2020 had their 

consolidated quoted spread increase by 

102.0%, while those that shifted to Tier 

2 saw their consolidated quoted spread 

widen by 152.3%. Tier 2 ETPs that 

moved to Tier 1 in the first half of 2020 

had their spreads rise 96.6%—less than 

those that stayed in Tier 1 for both 

periods. ETPs that stayed in Tier 2 

performed the worst, with their spreads 

increasing by 175.7%. The pattern is 

similar regarding ETPs that changed tier 

in the second half of 2020. ETPs that 

stayed in Tier 1 had their spreads 

narrow by 34.2% while those that 

moved to Tier 2 performed worse, with 

their spreads tightening by 26.7%. Tier 

2 ETPs that remained in Tier 2 

performed similarly to those that stayed 

in Tier 1, with their spreads narrowing 

by 35.7%. The best performing category 

was ETPs that moved to Tier 1 from Tier 

2, as their spreads narrowed by 43.6%. 

The Participants note that narrower 

spreads can lead to less available 

liquidity, but the tier changes studied 

above do not appear to have caused a 

negative impact on liquidity. For ETPs 

that changed tiers between the second 

half of 2019 and the first half of 2020, 

the amount of available liquidity 

dropped a similar amount for Tier 1 

ETPs that stayed in Tier 1 or moved to 

Tier 2. Tier 2 ETPs in general lost fewer 

dollars at the inside, but those Tier 2 

ETPs that transferred to Tier 1 did lose 

slightly more—12.2% versus 10.1%. For 

ETPs that changed tiers between the 

first half and second half of 2020, Tier 

2 ETPs again saw the largest increase in 

liquidity, with those that moved to Tier 

1 gaining 51.0% versus just 38.0% for 

those that stayed in Tier 2. Tier 1 ETPs 

that moved to Tier 2 saw a drop in 

liquidity inside of 4.2%. Finally, for 

those ETPs that changed tiers between 

the second half of 2020 and the first half 

of 2021, Tier 2 ETPs that moved to Tier 

1 saw the smallest gains in liquidity at 

the inside, increasing just 32.1% 

compared to Tier 2 ETPs that remained 

in Tier 2, which gained 42.7%. Tier 1 

ETPs, whether they stayed in Tier 1 or 

moved to Tier 2, garnered larger gains 

of liquidity at the inside. 

In sum, for two of the three half-year 

changes the Participants studied, 

spreads improved and there was a 

neutral to positive effect on inside 

liquidity for ETPs shifting from Tier 2 

to Tier 1. The opposite was true for Tier 

2 ETPs that changed tier from the 

second half of 2020 to the first half of 

2021. These results show that, on 

balance, market quality statistics 

improved for Tier 2 ETPs that moved to 

Tier 1. 

The Participants note that even if 

market quality statistics improved for 

Tier 2 ETPs that moved to Tier 1, the 

efficacy of such a move might be 

questioned if the move created notably 

more Limit States or Trading Pauses. To 

study this issue, the Participants 

examined three statistics for ETPs that 

had a tier change in either direction 

from one period to the next: 

• the average number of Trading 

Pauses per symbol during the next halfyear; 

• the average number of Limit States 

per symbol during the next half-year; 

and 

• the average number of seconds in a 

Limit State per symbol during the next 

half-year. 

Narrowing the Price Bands for ETPs 

that moved from Tier 2 into Tier 1 did 

not increase the incidence of Trading 

Pauses, Limit States, or the amount of 

time spent in Limit States. The 

Participants assert that this is likely 

because market participants adjust their 

behavior and provide more liquidity to 

ETPs once their bands are tightened. 

The Participants acknowledge that the 

number of ETPs that move between 

Tiers, especially into Tier 1 after being 

in Tier 2, is relatively small and may not 

provide a significant enough population 

to offer strong support for that statistic. 

The Participants note, however, that 

Amendment 18 removed double-wide 

bands at the open for all stocks and at 

the close for Tier 2 stocks, market 

participants adjusted to the tighter 

bands without a large increase in 

Trading Pauses. 

D. Study Conclusions 

In sum, the Participants’ study shows 

the following: 

• Tier 1 non-ETPs are far more likely 

than Tier 2 ETPs to enter into Limit 

States and Trading Pauses due to the 

underlying volatility of these securities. 

This finding suggests that the Price 

Band width for Tier 2 ETPs is poorly 

calibrated relative to their actual trading 

behavior. 

• During the study period, the 

notional value of trades that would have 

been prevented if Tier 2 ETPs had used 

tighter Tier 1 bands would have been 

substantial for such thinly traded 

products, bounded on the lower end at 

$36.8 million and the upper end at 

$711.1 million. 

• In the majority of cases where a 

trade would have been prevented by the 

narrower Theoretical Tier 1 Bands, 

prices reverted by the end of the 

following 5- and 10-minute periods, 


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13See supra note 5. 

14See Letters from Alexander Kuchta dated 

November 27, 2023 (‘‘Kuchta Letter’’); Anonymous 

dated November 27, 2023 (‘‘Anonymous Letter’’); 

Subhra Mazumdar dated November 27, 2023 

(‘‘Mazundar Letter’’); Joe Edwards dated November 

27, 2023 (‘‘Edwards Letter’’); Rax Nahali dated 

November 27, 2023 (‘‘Nahali Letter’’); and Rene 

Wright dated November 27, 2023 (‘‘Wright Letter’’). 

15See Letter to Vanessa Countryman, Secretary, 

Commission, from Samara Cohen, Chief Investment 

Officer of ETF and Index Investments, BlackRock, 

et al. dated December 18, 2023 (‘‘BlackRock 

Letter’’). 16See, e.g., Kuchta Letter; Nahali Letter; Wright 

Letter. 17See Kuchta Letter; Edwards Letter; Nahali 

Letter (noting that volatility is a part of the market). 18See Kuchta Letter (stating that ‘‘as trades 

accumulate at the band limits, the resumption of 

trading could trigger sudden and sharp price 

movements, contrary to the proposal’s intent to 

reduce volatility’’). 

19See id. 

20See id. 

21See Mazundar Letter; Nahali Letter. 

22See BlackRock Letter at 1. 

23See id. at 2 (noting that outsized or aggressive 

orders, temporary uncertainty about any inputs into 

the calculation of the ETP’s fair value, or lower 

levels of market participation, which is more 

common in newly listed ETPs, can cause these ETP 

prices not to reflect fundamental value). 

24See id. 

25See id. 

26See id. 

27See id. 

28See id. 

29 17 CFR 242.608. 

30 17 CFR 201.700; 17 CFR 201.701. 

suggesting that having these thinlytraded ETPs in Tier 1 would protect 

investors from executing trades at 

inferior prices that may occur due to 

transitory gaps in liquidity rather than 

fundamental valuation changes. 

• In most cases where ETPs have 

been reclassified from Tier 2 to Tier 1, 

market quality improved as evidenced 

by the lower quote volatility, tighter 

spreads, and increased liquidity for 

ETPs that moved from Tier 2 to Tier 1. 

• Using tighter Tier 1 bands for all 

ETPs would provide greater investor 

protection from temporary liquidity 

gaps, which are facilitated by the wider 

price bands in Tier 2. 

• The number of Limit States and 

Trading Pauses decreased when Tier 2 

ETPs moved to Tier 1 and increased 

when Tier 1 ETPs moved to Tier 2. 

From this evidence, the Participants 

conclude that moving Tier 2 ETPs to 

Tier 1 would improve market quality, 

more effectively dampen volatility, 

provide greater investor protection, and 

decrease the number of unnecessary 

Limit States and Trading Pauses. 

The Participants also state that the 

Proposed Amendment does not impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Exchange Act. 

The Participants assert that the 

Proposed Amendment to the Plan 

would apply to all market participants 

equally and would not impose a 

competitive burden on one category of 

market participants in favor of another 

category of market participant. The 

Proposed Amendment would apply to 

trading on all Trading Centers and all 

NMS Stocks would be subject to the 

amended Plan’s requirements. The 

Participants do not believe that the 

Proposed Amendment introduces terms 

that are unreasonably discriminatory for 

the purposes of Section 11A(c)(1)(D) of 

the Exchange Act because it would 

apply to all market participants equally. 

IV. Summary of Comments 

In response to the Notice, the 

Commission received several comments 

on the Proposed Amendment.13 A few 

commenters generally oppose the Plan 

and Proposed Amendment,14 and one 

commenter representing a consortium of 

market participants support the 

Proposal.15

Several commenters believe that the 

Proposed Amendment poses a 

significant threat to the foundational 

principles of a free and open markets.16

Some commenters state that the 

proposed tighter price bands would 

effectively limit the natural price 

discovery process, which would 

infringe upon free market principles.17

One commenter states that these tighter 

controls may lead to increased 

volatility.18 The commenter further 

states that leveraged derivatives, such as 

options and futures, allow significant 

positions to be taken with relatively less 

capital. In the hands of large market 

participants, according to this 

commenter, these instruments could 

potentially be used in conjunction with 

the predictable price range boundaries 

to manipulate market conditions, 

highlighting the need for a thorough 

evaluation of the rule’s implications on 

market dynamics and fairness.19 The 

same commenter concludes that the 

Proposal caters to the interests of larger, 

institutional investors who may benefit 

from reduced volatility and more 

predictable price movements at the 

expense of smaller, retail investors.20

Some commenters state that the 

Proposal enables the Participants to 

control the price of a security 

inappropriately.21

Separately, one commenter in support 

of the Proposal concludes that using 

Tier 1 Percentage Parameters for all 

ETPs would better protect investors 

during temporary liquidity gaps, which 

may be exacerbated by the wider price 

bands for Tier 2 NMS Stocks.22 The 

commenter asserts that ETP liquidity 

gaps can occur for reasons that may not 

reflect the ETP’s fundamental value.23

The commenter states that in these 

instances, the risk of an inefficient 

execution away from the fair value of 

the ETP’s holdings (as far as 10% away 

from a Tier 2 ETP’s reference price) 

rises, and the application of Tier 1 

Percentage Parameters would improve 

transparency and efficiency, particularly 

during periods of extreme volatility.24 In 

addition, the commenter states that, in 

instances of sustained order imbalances 

and/or gaps in liquidity in the market 

for an ETP, a trading pause would help 

attract liquidity from diverse market 

participants and promote price 

discovery through the reopening 

mechanism, helping to keep ETP prices 

in line with the value of underlying 

holdings.25 The commenter agrees that 

ETPs were assigned to tiers based on an 

assumption that lower-volume ETPs 

were more suited for wider price 

parameters, and states that the data 

presented in the Proposed Amendment 

suggests that assumption was wrong.26

The commenter states that the analysis 

demonstrated that on average, Tier 2 

ETPs across asset classes exhibit lower 

quote volatility than Tier 1 non-ETP 

stocks.27 In light of the findings derived 

from the study, the imposed semiannual migration of ETPs from one tier 

to the other appears to be overly 

complex, arbitrary, and unnecessary.28

V. Proceedings To Determine Whether 

To Approve or Disapprove the 

Proposed Amendment 

The Commission is instituting 

proceedings pursuant to Rule 

608(b)(2)(i) of Regulation NMS,29 and 

Rules 700 and 701 of the Commission’s 

Rules of Practice,30 to determine 

whether to approve or disapprove the 

Proposed Amendment or to approve the 

Proposed Amendment with any changes 

or subject to any conditions the 

Commission deems necessary or 

appropriate. The Commission is 

instituting proceedings to have 

sufficient time to consider the complex 

issues raised by Proposed Amendment, 

including comments received. 

Institution of proceedings does not 

indicate that the Commission has 

reached any conclusions with respect to 

any of the issues involved. Rather, the 

Commission seeks and encourages 

interested persons to provide additional 

comment on the Proposed Amendment 

to inform the Commission’s analysis. 

Rule 608(b)(2) of Regulation NMS 

provides that the Commission ‘‘shall 


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31 17 CFR 242.608(b)(2). 

32 Id. 

33See Notice, supra note 5. 

34 17 CFR 242.608(b)(2)(i). 

35 17 CFR 242.608(b)(2). 

36 17 CFR 201.701(b)(3)(ii). 

37 Id. 

38 Id. 

39 17 CFR 242.608(b)(2)(i). 

40Rule 700(c)(ii) of the Commission’s Rules of 

Practice provides that ‘‘[t]he Commission, in its sole 

discretion, may determine whether any issues 

relevant to approval or disapproval would be 

facilitated by the opportunity for an oral 

presentation of views.’’ 17 CFR 201.700(c)(ii). 

41See Notice, supra note 5. 

42According to the Participants, Chart 1 describes 

the amount of notional value prevented, and the 

number of symbols impacted, by the narrower 

Theoretical Tier 1 Bands on a day-to-day basis. See 

Notice, 88 FR at 81136. 

approve a national market system plan 

or proposed amendment to an effective 

national market system plan, with such 

changes or subject to such conditions as 

the Commission may deem necessary or 

appropriate, if it finds that such plan or 

amendment is necessary or appropriate 

in the public interest, for the protection 

of investors and the maintenance of fair 

and orderly markets, to remove 

impediments to, and perfect the 

mechanisms of, a national market 

system, or otherwise in furtherance of 

the purposes of the Exchange Act.’’ 31

Rule 608(b)(2) further provides that the 

Commission shall disapprove a national 

market system plan or proposed 

amendment if it does not make such a 

finding.32 In the Notice, the Commission 

sought comment on the Proposed 

Amendment, including whether the 

Proposed Amendment is consistent with 

the Exchange Act.33 In this order, 

pursuant to Rule 608(b)(2)(i) of 

Regulation NMS,34 the Commission is 

providing notice of the grounds for 

disapproval under consideration: 

• Whether, consistent with Rule 608 

of Regulation NMS, the Participants 

have demonstrated how the Proposed 

Amendment is necessary or appropriate 

in the public interest, for the protection 

of investors and the maintenance of fair 

and orderly markets, to remove 

impediments to, and perfect the 

mechanisms of, a national market 

system, or otherwise in furtherance of 

the purposes of the Exchange Act.35

Under the Commission’s Rules of 

Practice, the ‘‘burden to demonstrate 

that a NMS plan filing is consistent with 

the Exchange Act and the rules and 

regulations issued thereunder. . . is on 

the plan participants that filed the NMS 

plan filing.’’ 36 The description of the 

NMS plan filing, its purpose and 

operation, its effect, and a legal analysis 

of its consistency with applicable 

requirements must all be sufficiently 

detailed and specific to support an 

affirmative Commission finding.37 Any 

failure of the plan participants that filed 

the NMS plan filing to provide such 

detail and specificity may result in the 

Commission not having a sufficient 

basis to make an affirmative finding that 

the NMS plan filing is consistent with 

the Exchange Act and the applicable 

rules and regulations thereunder.38

VI. Commission’s Solicitation of 

Comments 

The Commission requests that 

interested persons provide written 

submissions of their views, data, and 

arguments with respect to the issues 

identified above, as well as any other 

concerns they may have with the 

Proposal. In particular, the Commission 

invites the written views of interested 

persons concerning whether the 

Proposal is consistent with Section 

6(b)(5), Section 6(b)(8), or any other 

provision of the Act, or the rules and 

regulations thereunder. Although there 

do not appear to be any issues relevant 

to approval or disapproval that would 

be facilitated by an oral presentation of 

views, data, and arguments, the 

Commission will consider, pursuant to 

Rule 608(b)(2)(i) of Regulation NMS,39

any request for an opportunity to make 

an oral presentation.40 The Commission 

asks that commenters address the 

sufficiency and merit of the 

Participants’ statements in support of 

the Proposed Amendment,41 in addition 

to any other comments they may wish 

to submit about the Proposed 

Amendment. In particular, the 

Commission seeks comment on the 

following: 

1. The Participants propose to amend 

Appendix A of the Plan by deleting the 

definition of ETPs ‘‘eligible’’ for Tier 1 and 

to specify that all ETPs, except for single 

stock ETPs, would be assigned to Tier 1. 

What are commenters’ views on whether the 

Proposal is consistent with the Exchange 

Act? 

2. Because all leveraged ETPs (except Tier 

2 single stock ETPs) would be assigned to 

Tier 1, the Participants also propose to add 

text into Section I of Appendix A describing 

how the Percentage Parameters would be set 

for leveraged ETPs. What are commenters’ 

views on whether this Proposal regarding 

leveraged ETPs to the Plan is consistent with 

the Exchange Act? 

3. The Proposal acknowledges that the 

ETPs studied covered several asset classes, 

including domestic equities, international 

equities, fixed income, currency, commodity, 

and digital currency ETPs. For example, the 

Participants’ analysis provides aggregate 

statistical information with respect to Tier 2 

ETPs as a whole. In addition, the Proposal 

states that, except for single-stock, 

commodity, and foreign exchange-based 

ETPs, ETPs are by definition diversified 

instruments and that the analysis in the 

Proposal supports the modern portfolio 

theory that portfolios of securities exhibit 

lower volatility than individual securities, 

unless those products are perfectly 

correlated. The Proposed Amendment to the 

Plan, which would assign all ETPs to Tier 1, 

only excludes single stock ETPs, but does not 

propose to exclude other ETPs based on other 

single reference assets, such as ETPs based 

on single commodities or single digital 

currency-related assets. Do commenters agree 

that the methodology and results of the 

analysis support the conclusions drawn by 

the Participants? Please explain. Does this 

aggregated approach to evaluating Tier 2 

ETPs as a whole support the conclusions 

drawn by the Participants with respect to 

different segments of Tier 2 ETPs? For 

example, what are commenters’ views on 

whether the Proposal’s study explains why 

such other ETPs, such as those based on a 

single asset (other than stocks) or those that 

might not otherwise reflect the volatility 

characteristics described in the Proposal, 

should be assigned to Tier 1? 

4. The Proposal provides analysis 

concerning the potential impacts that the 

Proposal could have on the market. Among 

other things, the analysis states that the 

proposed narrower bands may have caused 

minimal disruption during periods of less 

volatility, amounting usually to a few dozen 

trades per day. In contrast, the analysis 

shows that the Proposal could have had a 

much larger impact on trading during periods 

of greater volatility. Table 4, Panel A, for 

example, shows that during the first half of 

2020, the Proposal could have impacted 

approximately $147 million of trading in Tier 

2 ETPs on a single day; approximately $577 

million of trading in Tier 2 ETPs could have 

been impacted over these six months. Chart 

1 of the Proposal 42 also shows that over 500 

Tier 2 ETPs would have been affected daily 

during March 2020, a significant percentage 

of the total number of Tier 2 ETPs. In the 

Proposal, the Participants also provide 

analysis that supports the view that the 

potential impact on trading likely would not 

be as significant as suggested in Table 4, 

Panel A. For example, in Table 4, Panel B, 

the Proposal provides analysis that assumes 

that all impacted trading would execute at 

the proposed price bands; under this more 

conservative assumption, notional volume in 

Tier 2 ETPs would only change by $8 million 

on any given day in the first half of 2020, 

while total notional volume in Tier 2 ETPs 

over these six months would only change by 

$30 million. The Proposal states that it is not 

likely that the Proposal’s impact would be as 

significant as suggested by the analysis in 

Table 4, Panel A, because there could be 

significant additional volume executed at or 

near the proposed price bands. What are 

commenters’ views on the Proposal’s analysis 

of the potential impact on trading? Are 

commenters concerned that the Proposal’s 

impact on trading during periods of 

significant volatility would further contribute 

to that market stress? 

5. One of the Proposal’s conclusions is 

that, in a majority of cases where a trade 


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43 17 CFR 200.30–3(a)(85). 

would have been prevented by the proposed 

narrower bands (Theoretical Blocked Trades), 

prices reverted back to within the proposed 

narrower bands. To support this conclusion, 

the Proposal provides an analysis that trades 

in Tier 2 ETPs that executed outside the 

proposed narrower bands are generally 

followed by mid-point prices within the 

narrower bands. According to the Proposal, 

this analysis suggests that the Proposal 

would protect investors from trading at 

inferior prices that may occur because of 

transitory gaps in liquidity instead of 

fundamental valuation changes. Do 

commenters agree that the analysis 

appropriately measures price reversion and 

that the Theoretical Blocked Trades often 

executed during temporary liquidity gaps? If 

not, how do commenters suggest the analysis 

could examine the extent to which 

Theoretical Blocked Trades executed during 

temporary liquidity gaps? Please explain. 

6. The Proposal compares the quote 

volatility of Tier 2 ETPs to that of Tier 1 nonETPs, where quote volatility is measured 

using the mid-point at each second. With this 

measure of volatility, the Proposal concludes 

that Tier 2 ETPs have lower quote volatility 

than Tier 1 non-ETPs, suggesting that Tier 2 

ETPs are not too volatile for the Tier 1 price 

bands. In addition, the Proposal 

acknowledges that Tier 2 ETPs are often 

thinly traded. What are commenters’ views 

on whether the comparative analysis has 

adequately captured Tier 2 ETP volatility in 

support of the conclusion that they are not 

too volatile for the Tier 1 price bands? For 

example, would infrequent trading interest 

bias the analysis due to infrequent updates of 

the mid-point? Are there other measures of 

volatility that would be more appropriate? 

Please explain. 

7. The Participants state that the Plan does 

not impose any burden on competition that 

is not necessary or appropriate in furtherance 

of the purposes of the Exchange Act. Do 

commenters believe that the Plan, as 

proposed to be amended, imposes any 

burden on competition that is not necessary 

or appropriate in furtherance of the purposes 

of the Exchange Act? 

8. Further, would the Proposal have a 

positive, negative, or neutral impact on 

competition? Please explain. How would the 

Proposal impact competition across ETP 

issuers or ETPs on similar baskets of 

securities currently in different tiers? Please 

explain. How would any impact on 

competition from the Proposal benefit or 

harm the national market system or the 

various market participants? Please describe 

and explain how, if at all, aspects of the 

national market system or different market 

participants would be affected. Please 

support any response with data, if possible. 

9. More generally, to the extent possible 

please provide specific data, analyses, or 

studies for support regarding any impacts of 

the Proposal on competition. 

The Commission requests that 

commenters provide analysis to support 

their views, if possible. 

Interested persons are invited to 

submit written data, views, and 

arguments regarding whether the 

Proposed Amendment should be 

approved or disapproved by March 14, 

2024. Any person who wishes to file a 

rebuttal to any other person’s 

submission must file that rebuttal by 

March 28, 2024. Comments may be 

submitted by any of the following 

methods: 

Electronic Comments 

• Use the Commission’s internet 

comment form (http://www.sec.gov/ 

rules/sro.shtml); or 

• Send an email to rule-comments@

sec.gov. Please include file number 4– 

631 on the subject line. 

Paper Comments 

• Send paper comments in triplicate 

to: Secretary, Securities and Exchange 

Commission, 100 F Street NE, 

Washington, DC 20549–1090. 

All submissions should refer to file 

number 4–631. This file number should 

be included on the subject line if email 

is used. To help the Commission 

process and review your comments 

more efficiently, please use only one 

method. The Commission will post all 

comments on the Commission’s internet 

website (https://www.sec.gov/rules/ 

sro.shtml). Copies of the submission, all 

subsequent amendments, all written 

statements with respect to the proposed 

rule change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

provisions of 5 U.S.C. 552, will be 

available for website viewing and 

printing in the Commission’s Public 

Reference Room, 100 F Street NE, 

Washington, DC 20549, on official 

business days between the hours of 10 

a.m. and 3 p.m. Copies of the filing also 

will be available for inspection and 

copying at the Participants’ principal 

offices. Do not include personal 

identifiable information in submissions; 

you should submit only information 

that you wish to make available 

publicly. We may redact in part or 

withhold entirely from publication 

submitted material that is obscene or 

subject to copyright protection. All 

submissions should refer to file number 

4–631 and should be submitted on or 

before March 14, 2024. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.43

Sherry R. Haywood, 

Assistant Secretary. 

[FR Doc. 2024–03539 Filed 2–21–24; 8:45 am] 

BILLING CODE 8011–01–P 

DEPARTMENT OF STATE 

[Public Notice: 12336] 

Notice of Determinations; Culturally 

Significant Objects Being Imported for 

Exhibition—Determinations: 

‘‘Auschwitz. Not long ago. Not far 

away.’’ Exhibition 

SUMMARY: Notice is hereby given of the 

following determinations: I hereby 

determine that certain objects being 

imported from abroad pursuant to an 

agreement with their foreign owner or 

custodian for temporary display in the 

exhibition ‘‘Auschwitz. Not long ago. 

Not far away.’’ by the Cincinnati 

Museum Center, Cincinnati, Ohio, at 

The Castle at Park Plaza, Boston, 

Massachusetts, and at possible 

additional exhibitions or venues yet to 

be determined, are of cultural 

significance, and, further, that their 

temporary exhibition or display within 

the United States as aforementioned is 

in the national interest. I have ordered 

that Public Notice of these 

determinations be published in the 

Federal Register. 

FOR FURTHER INFORMATION CONTACT: 

Reed Liriano, Program Coordinator, 

Office of the Legal Adviser, U.S. 

Department of State (telephone: 202– 

632–6471; email: section2459@

state.gov). The mailing address is U.S. 

Department of State, L/PD, 2200 C 

Street, NW (SA–5), Suite 5H03, 

Washington, DC 20522–0505. 

SUPPLEMENTARY INFORMATION: The 

foregoing determinations were made 

pursuant to the authority vested in me 

by the Act of October 19, 1965 (79 Stat. 

985; 22 U.S.C. 2459), Executive Order 

12047 of March 27, 1978, the Foreign 

Affairs Reform and Restructuring Act of 

1998 (112 Stat. 2681, et seq.; 22 U.S.C. 

6501 note, et seq.), Delegation of 

Authority No. 234 of October 1, 1999, 

Delegation of Authority No. 236–3 of 

August 28, 2000, and Delegation of 


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